This PhD dissertation focuses on examining the state of financial integration in Indonesia, Malaysia, the Philippines, Singapore and Thailand. These countries are grouped together under the shorthand description of "ASEAN-5". The United States (US) and Japan are considered reference markets. Two main financial markets - credit and stock markets - are investigated based on the data availability and reliability. For credit market integration, data are monthly observations of three-month real money market rates covering from January 1981 to August 2006. Empirical tests of long-term integration are conducted on the basis of the Johansen cointegration tests. Unrestricted VAR and generalised impulse response functions (IRF) forecasts are used to assess shortrun dynamics. As a result, we find the ASEAN markets tend to integrate to and interact with each other rather than with the reference markets, the US and Japan. Indeed, we find the evidence of full integration or a common trend of real interest rates within the ASEAN. Singapore, the only developed financial market in the group, confirms their considerable influence to other regional markets. For the US and Japan, they have declined their impacts on the region over time, especially in the post-crisis period. For stock market integration, data are weekly and daily price returns covering from January 1991 to December 2006. The CAPM - TGARCH model is employed to examine the degree of market integration. ADCC-MVGARCH model is conducted to estimate time-varying conditional correlations in the US, Japan and the ASEAN. Besides, news impact curve and news impact surfaces are also applied to detect asymmetric effects of news on conditional volatilities and correlations. In line with findings from credit market integration, the results of stock market integration indicate that the tendency of regionalisation has been strongly enhanced over time, especially after the Asian crisis. The ASEAN stock markets do not only increase their regional impacts but also, to some extent, have influence on the most developed financial markets in the world, such as the US and Japan. The completion of this research may significantly contribute to the existing literature on financial integration; help regional as well as global investor manage their investment portfolios more efficiently; and, to some extent, support policy makers to negotiate and enhance the agenda of reform and cooperation in the region.